Odd-lot trading in U.S. equities
Brian S. Roseman,
Bonnie F. Van Ness and
Robert A. Van Ness
The Quarterly Review of Economics and Finance, 2018, vol. 69, issue C, 125-133
We study odd-lot trades in U.S. Equities. NYSE- and NASDAQ-listed securities trade and report on various markets, and in this paper, we examine odd-lot activity in these venues. We also look at odd-lot trading on December 9, 2013, when odd-lot trades began reporting to the consolidated public tapes. We find a small increase in odd-lot trading occurring after odd-lot trades are reported to the consolidated tape, which is inconsistent with the belief that some odd-lot trades are larger trades broken up to avoid reporting to the consolidated tape. Odd-lot trades have disproportionately high cumulative price changes relative to the level of odd-lot trading. We also find a positive relation between odd-lot order imbalance and returns.
Keywords: Odd lot; Market microstructure; Exchanges; Trading; Volume (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:69:y:2018:i:c:p:125-133
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